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Characterizing Asymmetric Information in International Equity Markets

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - EconWPA - 2004

This paper studies the international portfolio flows of US investors to examine the information structure of international equity markets. We use an empirical model of portfolio flows with both public and private information to extract measures of trades due to private information. We find that...

Persistent link: https://www.econbiz.de/10005125533

Financial Integration and International Portfolio

Hedi, AROURI Mohamed El - EconWPA - 2003

In this article, we extend the conditional ICAPM of De Santis and Gérard (1997,1998) using an asymmetric multivariate GARCH specification. The model is estimated, for the period March 1973-March 2003, simultaneously for 8 markets: the world market, 4 developed markets and 3 emerging markets....

Persistent link: https://www.econbiz.de/10005408146

International Diversification Benefits in ASEAN Stock Markets: a Revisit

Lim, Kian-Ping; Lee, Hock-Ann; Liew, Venus Khim-Sen - EconWPA - 2003

With plentiful of evidence supporting the presence of non-linearity in stock returns series, coupled with theoretical and empirical works suggesting a potential loss in standard Johansen cointegration method if the underlying data generating process is non-linear in nature, this study...

Persistent link: https://www.econbiz.de/10005413036

Lobbying, Information Transmission, and Unequal Representation

Lagerlof, Johan; Frisell, Lars - EconWPA - 2004

We study the effects of unequal representation in the interest-group system on the degree of information transmission between a lobbyist and a policymaker. Employing a dynamic cheap-talk model in which the lobbyist cares instrumentally about his reputation for truthtelling, we show that the...

Persistent link: https://www.econbiz.de/10005076613

Output Changes and Inflationary Bias in Transition

Filer, Randall K.; Hanousek, Jan - EconWPA - 2001

. Reasonable estimates of the size of the inflationary bias in the Czech Republic suggest that conventionally reported declines in …

Persistent link: https://www.econbiz.de/10005126136

Monetary Policy Shifts, Indeterminacy and Inflation Dynamics

Surico, Paolo - EconWPA - 2005

The New-Keynesian Phillips curve plays a central role in modern macroeconomic theory. A vast empirical literature has estimated this structural relationship over various postwar full-samples. While it is well know that in a New-Keynesian model a weak central bank response to inflation generates...

Persistent link: https://www.econbiz.de/10005126312

Biais cognitifs, asymétrie d’information et formation des prix

Kaestner, Michael - EconWPA - 2005

/or failing to assess correctly the quality of their private signal. We evaluate the impact of the considered bias on the …

Persistent link: https://www.econbiz.de/10005134796

Publication Bias Against Null Results

Hubbard, Raymond; Armstrong, JS - EconWPA - 2005

Studies suggest a bias against the publication of null (p > .05) results. Instead of significance, we advocate …

Persistent link: https://www.econbiz.de/10005062675

HOW ACCURATE ARE THE SWEDISH FORECASTERS ON GDP-GROWTH,CPI- INFLATION AND UNEMPLOYMENT? (1993-2001)

Barot, Bharat - EconWPA - 2005

, the root mean square error, bias and finally directional accuracy. The forecasts are even compared to naive random walk … by the naive random walk model. Tests of bias indicate that the Swedish forecasters underestimate GDP-growth and …, root mean square error, directional accuracy, bias, revisions, final respective preliminary outcomes, Theil index, naïve …

Persistent link: https://www.econbiz.de/10005412654

Lobbying, Information Transmission, and Unequal Representation

Lagerlof, Johan; Frisell, Lars - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005413244